[R] portfolio optimization problem - use R

fzp2008 zhangpeng.feng03 at ic.ac.uk
Mon Jul 21 16:56:32 CEST 2008

How to use R to solve the optimisaton problem

½*w^T*omega*w+mu^T*w+c^T(w-w0) for w>w0 long position
½*w^T*omega*w+mu^T*w-c^T(w-w0) for w<w0 short position

W: is the update weight of portfolio
Wo is the initial weight of portfolio

Omega is the variance covariance matrix 

mu is the vector of return rate of stocks in the portfolio

C is the vector coefficient of transaction cost
Is it a quandratic programming problem? Then how to write the objective
function? Or any other method to solve this?

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